It's mostly a matter of whether you like the look or not, but also if you are really wanting to dive into custom keycap sets and the like you just won't find high-quality shine-throughs. The best on the market as far as I'm aware are the Vortex PBTs, and they do feel nice (using them now) but most people consider Vortex to be sub-par compared to GMK or SP.
For me personally, when I first got into considering mech keyboards a hobby, I really wanted to find high quality shine-through caps and I was very taken aback that they just don't exist. But I've come around to the fact that LEDs still look pretty good behind a high quality non-shine through cap (as long as you can't see the stem through it, I hate that look) with the light just shining around the edges of the caps. So, I've got a few keycap sets on order that do not have shine-through.